These "dreams" always occur in my immediate surroundings. Here is what scares me: often, I am seeing monstrous or demonic looking creatures when I theoretically leave my body mere seconds after dozing off. I will close my eyes and immediately be in the next room where some horrific entity is looking right at me. The fear that results from these sightings wakes me immediately.

Quoting: HarryHood

I think these "sudden shocks", while falling asleep, are a form of Hypnagogia ( [link to en.wikipedia.org] I remember having them often like walking on a path in a forest and suddenly falling down. But also scary faces and stuff.